The 23-year-old target man joins the Saddlers on a two-and-a-half-year deal, having scored 13 goals in 61 Vale appearances.
Rodney previously shone while on loan at Halifax Town under Walsall technical director Jamie Fullarton.
“I am delighted to get it done and I am looking forward to being out there on the pitch and showing the fans what I can do,” said Rodney
“One of the reasons I have come here is because of the club's philosophy. I really believe that it is the right system for me, so hopefully I can come here and score goals and have a positive impact on the team.
“I have spoken to the head coach about the plans that he has got going forward, I spoke to Jamie (Fullarton) and I have spoken to the owner.
“The philosophy of the club is really good and I want to add to that. I really believe in what they say.
“I have worked under Jamie before and he knows what I can do on the pitch, so I am really looking forward to getting started.
“The system that the team plays suits me. The ambition and the plan that the club have, I think I can be a big part of it over the next two years and hopefully help them achieve that.”
Rodney's signing comes hot on the heels of the loan capture of left-back Reece Devine from Manchester United.
Rodney has also played for both Hartlepool United and Salford City.
Saddlers boss Matt Taylor said: "I feel that he gives us an option that we didn’t have with his attributes and he’s hungry for success.
“He’s the right age and I like what he does on a football pitch. We were alerted to his availability and obviously worked very hard to secure his signature.
“He will add goals and a real attacking intent.
"He’s a player that understands the game and level really well.
"I think it's an area on the pitch where we need to do better, and he most definitely gives us another option in that area."
Taylor added: “I think also that it’s important that we understand that he’s not the finished article and therefore it gives us huge opportunities for growth with Devante as well and I think that’s important to him as well because while we hope and know that he will be a success with us, ultimately we’re signing him and bringing him to the football club to give us a real goal threat and to give us a different option."